Essays about: "Passive Trading Strategy"

Showing result 1 - 5 of 8 essays containing the words Passive Trading Strategy.

  1. 1. Investigating the Performance of Random Forest Classification for Stock Trading

    University essay from KTH/Skolan för teknikvetenskap (SCI)

    Author : Oscar Nordfjell; Gustav Ring; [2023]
    Keywords : Random Forest; Random Forest Classification; Stock Trading; Trading Strategy;

    Abstract : We show that with the implementation presented in this paper, the Random Forest Classification model was able to predict whether or not a stock was going to increase in value during the coming day with an accuracy higher than 50\% for all stocks included in this study. Furthermore, we show that the active trading strategy presented in this paper generated higher returns and higher risk-adjusted returns than the passive investment in the stocks underlying the strategy. READ MORE

  3. 2. Singular Value Decomposition as a Method for Analyses and Forecasts of Financial Data

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Axel Gustavsson; [2021]
    Keywords : Singular value decomposition; Technical analysis; Trading strategy; Finance; Business and Economics;

    Abstract : This paper examines the sufficiency of a trading method based on singular value decomposition (SVD) of past stock prices. The SVD method is frequently used as a tool to reduce data noise, compress big-data, and analyse data components. Hence, the method is well suited to form a ground for a predictive tool of price developments. READ MORE

  4. 3. Strategies for High Frequency FX Trading - The choice of bucket size

    University essay from Lunds universitet/Matematisk statistik

    Author : Malin Lunsjö; Malin Riddarström; [2017]
    Keywords : Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

    Abstract : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. READ MORE

  5. 4. Market Timing Ability of Bond-Equity Yield Ratio : A study of trading strategies in Japan, Malaysia and Singapore

    University essay from Umeå universitet/Företagsekonomi

    Author : Ngwe Lin Myat Chit; Feiran Wang; [2014]
    Keywords : Bond to Equity Yield Ratio BEYR ; Dividend Yield; Earning Yield; Market Timing Strategy; Active Trading Strategy; Passive Trading Strategy; Extreme Value Strategy; Efficient Market Hypothesis;

    Abstract : Market Timing Strategy is an active investment strategy, which is based on the signals of indicators, for the investors to make their investment decisions. However, there has always been the question on which variable is a good indicator, that would provide superior returns for the investment. READ MORE

  6. 5. Active Portfolio Management in the German Stock Market : A CAPM Approach

    University essay from IHH, Economics, Finance and Statistics

    Author : Nicolai Wüsten; [2012]
    Keywords : Active Portfolio Management; DAX; German Stock Market; Forecasting;

    Abstract : An investor can generate higher returns on the German stock market if he is using an active portfolio management strategy rather than its passive counterpart. This is possible because the market is not efficient and the DAX, namely the market portfolio, can be outperformed in regard to the average annual return and its variance. READ MORE